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Yang Liu

Not to be confused with: Yang Liu, Yang Liu, Yang Liu, Yang Liu

Personal Details

First Name:Yang
Middle Name:
Last Name:Liu
Suffix:
RePEc Short-ID:pli1307
http://yangliuresearch.com

Affiliation

Faculty of Business and Economics
University of Hong Kong

Pokfulam, Hong Kong
http://www.fbe.hku.hk/
RePEc:edi:fbhkuhk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Xiang Fang & Yang Liu & Nikolai Roussanov, 2022. "Getting to the Core: Inflation Risks Within and Across Asset Classes," NBER Working Papers 30169, National Bureau of Economic Research, Inc.
  2. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.

Articles

  1. Liu, Yang & Shaliastovich, Ivan, 2022. "Government policy approval and exchange rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 303-331.
  2. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
  3. Arezki, Rabah & Liu, Yang, 2020. "On the (Changing) asymmetry of global spillovers: Emerging markets vs. advanced economies," Journal of International Money and Finance, Elsevier, vol. 107(C).

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Xiang Fang & Yang Liu & Nikolai Roussanov, 2022. "Getting to the Core: Inflation Risks Within and Across Asset Classes," NBER Working Papers 30169, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    2. Bahaj, Saleem & Czech, Robert & Ding, Sitong & Reis, Ricardo, 2023. "The market for inflation risk," Bank of England working papers 1028, Bank of England.
    3. Konchitchki, Yaniv & Xie, Jin, 2023. "Undisclosed material inflation risk," Journal of Monetary Economics, Elsevier, vol. 140(S), pages 82-100.
    4. François Gourio & Phuong Ngo, 2024. "Downward Nominal Rigidities and Bond Premia," Working Paper Series WP 2024-09, Federal Reserve Bank of Chicago.
    5. Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
    6. Kim, Dong-Hyeon & Lin, Shu-Chin, 2023. "Income inequality, inflation and financial development," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 468-487.
    7. Geng Li & Nitish R. Sinha, 2023. "Are Real Assets Owners Less Averse to Inflation? Evidence from Consumer Sentiments and Inflation Expectations," Finance and Economics Discussion Series 2023-058, Board of Governors of the Federal Reserve System (U.S.).
    8. Pallotti, Filippo & Paz-Pardo, Gonzalo & Slacalek, Jiri & Tristani, Oreste & Violante, Giovanni L., 2023. "Who bears the costs of inflation? Euro area households and the 2021–2022 shock," Working Paper Series 2877, European Central Bank.
    9. Philip Schnorpfeil & Michael Weber & Andreas Hackethal, 2024. "Inflation and Trading," NBER Working Papers 32470, National Bureau of Economic Research, Inc.

  2. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.

    Cited by:

    1. David Altig & Jose Maria Barrero & Nicholas Bloom & Steven J. Davis & Brent H. Meyer & Nicholas Parker, 2019. "Surveying Business Uncertainty," NBER Working Papers 25956, National Bureau of Economic Research, Inc.
    2. Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Papers 2006.07669, arXiv.org, revised Aug 2020.
    3. Kim, Seong-Tae & Kim, Jeong-Hoon, 2020. "Stochastic elasticity of vol-of-vol and pricing of variance swaps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 420-440.
    4. Ferrara, L. & Istrefi, K., 2016. "Impact des chocs d’incertitude sur l’économie mondiale – Synthèse de conférence," Bulletin de la Banque de France, Banque de France, issue 206, pages 61-68.
    5. Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
    6. Min-Ku Lee & See-Woo Kim & Jeong-Hoon Kim, 2022. "Variance Swaps Under Multiscale Stochastic Volatility of Volatility," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 39-64, March.
    7. Carrera Jorge & Montes Rojas Gabriel & Solla Mariquena & Toledo Fernando, 2022. "Global Financial Cycle, Commodity Terms of Trade and Financial Spreads in Emerging Markets and Developing Economies," Asociación Argentina de Economía Política: Working Papers 4613, Asociación Argentina de Economía Política.
    8. Arezki, Rabah & Liu, Yang, 2020. "On the (Changing) asymmetry of global spillovers: Emerging markets vs. advanced economies," Journal of International Money and Finance, Elsevier, vol. 107(C).
    9. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
    10. Giacomo Toscano & Maria Cristina Recchioni, 2020. "Bias optimal vol-of-vol estimation: the role of window overlapping," Papers 2004.04013, arXiv.org, revised Jul 2021.
    11. Ruan, Xinfeng, 2020. "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 48(C).
    12. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
    13. Zhang, Qun & Zhang, Zhendong & Luo, Jiawen, 2024. "Asymmetric and high-order risk transmission across VIX and Chinese futures markets," International Review of Financial Analysis, Elsevier, vol. 93(C).

Articles

  1. Liu, Yang & Shaliastovich, Ivan, 2022. "Government policy approval and exchange rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 303-331.

    Cited by:

    1. Engel, Charles & Wu, Steve Pak Yeung, 2021. "Forecasting the U.S. Dollar in the 21st Century," CEPR Discussion Papers 15915, C.E.P.R. Discussion Papers.
    2. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
    3. Gala, Vito D. & Pagliardi, Giovanni & Zenios, Stavros A., 2023. "Global political risk and international stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 78-102.
    4. Tarkom, Augustine & Yang, Lukai, 2024. "Presidential economic approval rating and trade credit," International Review of Financial Analysis, Elsevier, vol. 93(C).

  2. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.

    Cited by:

    1. Michael B. Devereux & Charles Engel & Steve Pak Yeung Wu, 2023. "Collateral Advantage: Exchange Rates, Capital Flows and Global Cycles," NBER Working Papers 31164, National Bureau of Economic Research, Inc.
    2. Engel, Charles & Wu, Steve Pak Yeung, 2021. "Forecasting the U.S. Dollar in the 21st Century," CEPR Discussion Papers 15915, C.E.P.R. Discussion Papers.
    3. Maio, Paulo & Zeng, Ming, 2023. "On the driving forces of real exchange rates: Is the Japanese Yen different?," Journal of Empirical Finance, Elsevier, vol. 74(C).
    4. Jiang, Zhengyang, 2021. "US Fiscal cycle and the dollar," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 91-106.
    5. Schneider, Andrés, 2022. "Who should buy stocks when volatility spikes?," Journal of Financial Markets, Elsevier, vol. 60(C).

  3. Arezki, Rabah & Liu, Yang, 2020. "On the (Changing) asymmetry of global spillovers: Emerging markets vs. advanced economies," Journal of International Money and Finance, Elsevier, vol. 107(C).

    Cited by:

    1. Valentin Lang & David Mihalyi & Andrea F. Presbitero, 2023. "Borrowing Costs after Sovereign Debt Relief," American Economic Journal: Economic Policy, American Economic Association, vol. 15(2), pages 331-358, May.
    2. Banerjee, Ameet Kumar, 2021. "Futures market and the contagion effect of COVID-19 syndrome," Finance Research Letters, Elsevier, vol. 43(C).
    3. Janus, Jakub, 2021. "The COVID-19 shock and long-term interest rates in emerging market economies," Finance Research Letters, Elsevier, vol. 43(C).
    4. Mistak, Jakub & Ozkan, F. Gulcin, 2024. "Asymmetric monetary policy spillovers: the role of supply chains, credit networks and fear of floating," Working Paper Series 2995, European Central Bank.
    5. Saini, Seema & Ahmad, Wasim & Bekiros, Stelios, 2021. "Understanding the credit cycle and business cycle dynamics in India," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 988-1006.
    6. Pierre-Richard Agénor & Luiz Awazu Pereira da Silva, 2019. "Global Banking, Financial Spillovers, and Macroprudential Policy Coordination," BIS Working Papers 764, Bank for International Settlements.
    7. Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    8. Ahmed, Shamima & Banerjee, Ameet Kumar & James, Wendy & Moussa, Faten, 2024. "Is the Evergrande crisis spilling beyond China?," Research in International Business and Finance, Elsevier, vol. 67(PB).

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-DGE: Dynamic General Equilibrium (2) 2016-07-23 2022-07-25. Author is listed
  2. NEP-RMG: Risk Management (2) 2018-12-17 2018-12-24. Author is listed
  3. NEP-FMK: Financial Markets (1) 2022-07-25. Author is listed
  4. NEP-IFN: International Finance (1) 2022-07-25. Author is listed
  5. NEP-MAC: Macroeconomics (1) 2022-07-25. Author is listed
  6. NEP-MON: Monetary Economics (1) 2022-07-25. Author is listed
  7. NEP-OPM: Open Economy Macroeconomics (1) 2016-07-23. Author is listed

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